If you lose anything in Frist it will go to the Welcome Desk.
Call 609-258-1766 and explain what you've lost; if it had your name on it they should have sent you an e-mail also.
The Welcome Desk is on the 100-Level (that's where the C-Store and Café Viv and Witherspoons Café are), it's in the centre on the north side.
You can pick stuff up whenever Frist is open.
(Frist Welcome Desk official website)

Anywhere else on campus, lost and found is run by Public Safety.
Call 609-258-1000
You can pick stuff up at 200 Elm Drive (that long windy road between Whitman and Butler)
You can pick stuff up 10a.m. - 2p.m, Monday - Friday.
(Stuff that's been in Frist for a few weeks gets sent here also).
(Public Safety Lost and Found official website)

If you lost stuff in a classroom (or other academic building) it can easily end up in the departmental office.
Phone numbers for the departmental offices can be found here.

Dining halls often end up with a number of forgotten proxes, phones, sweatshirts, etc. Proxes and other cards often end up in the back office, so ask a manager for help if you suspect you lost something while eating.